Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0029
Annualized Std Dev 0.2748
Annualized Sharpe (Rf=0%) -0.0104

Row

Daily Return Statistics

Close
Observations 5582.0000
NAs 1.0000
Minimum -0.1413
Quartile 1 -0.0077
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0084
Maximum 0.2299
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0173
Skewness -0.2497
Kurtosis 12.1215

Downside Risk

Close
Semi Deviation 0.0126
Gain Deviation 0.0119
Loss Deviation 0.0136
Downside Deviation (MAR=210%) 0.0172
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.8305
Historical VaR (95%) -0.0261
Historical ES (95%) -0.0418
Modified VaR (95%) -0.0253
Modified ES (95%) -0.0371
From Trough To Depth Length To Trough Recovery
2010-11-10 2020-03-23 NA -0.8305 2607 2356 NA
2007-06-18 2008-10-10 2010-11-05 -0.6731 856 334 522
1999-05-14 2002-10-10 2003-10-14 -0.5184 1105 853 252
2004-01-14 2004-05-10 2005-07-25 -0.3344 385 81 304
2005-12-19 2006-06-13 2007-02-14 -0.2812 290 121 169

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.7 0 0 0.6 4.9 0 0.6 -1.2 0 1.8 2.3 8.3
2000 -3.1 1.1 3.6 3.9 0 2 0 0.7 0.7 2.2 0.7 -0.7 11.3
2001 0 -0.7 1 0.8 -0.2 -0.5 -0.4 -0.7 -2.8 0.8 -1.2 -0.5 -4.2
2002 0.7 1.7 0.1 0.2 -1.1 -0.7 5.3 1.2 2.3 2.1 0.3 1.3 14.2
2003 0.3 1.3 0.8 0 -1.5 3.3 0.8 3 1.1 -0.6 1.4 -0.6 9.7
2004 3.8 3.3 1.7 1 0.4 0.2 -0.8 -1.8 1.3 0.1 -0.1 0.7 10.1
2005 -0.9 -0.4 0.4 0.8 0.4 -0.1 0.2 -3.6 -0.1 -4.1 1.1 1.2 -5.2
2006 3.7 0.5 1.6 -1.6 -0.9 -0.2 0.4 0.4 0.8 -0.6 0.3 -0.6 4
2007 0.6 -1.1 0.6 -0.7 0.9 2.1 -2.9 2.4 2.4 -1.9 4.2 4.8 11.7
2008 -1.1 -2.2 2.6 1.1 -0.8 -1.5 -0.5 1 2.1 -0.6 -2.9 2.3 -0.7
2009 1.4 2.7 2.2 0.7 1.3 2.2 0.5 -3.5 -2.2 -2.5 0.9 0.8 4.4
2010 2.5 -1.9 1.7 0.6 -2.7 -0.6 0.8 2.9 -0.2 1.6 0.8 3.5 9.3
2011 1.5 -1.5 -1.3 1.1 -0.7 -0.7 1.4 0.7 -2 -0.8 -0.3 -1.1 -3.6
2012 3 0.2 1.9 0.3 -2.7 0.6 -1.9 1.1 0.7 1.2 0 0.6 5
2013 0.1 0.4 -1.6 1.3 -0.3 0.3 6.2 -1.5 -0.4 0.8 -0.7 -0.4 4.2
2014 -4.3 -0.2 0.5 -0.3 0.2 1 -0.8 0.9 0 -0.2 -1.1 0.1 -4.3
2015 -1.1 0.1 1.9 0.7 -1.1 -3.4 2.1 -1.9 -0.5 -0.6 -0.3 0.5 -3.7
2016 -0.9 2.2 -0.2 0.6 -0.5 -0.2 -0.9 0.6 0.3 -0.3 1 -0.7 1.1
2017 0 0.5 0.6 -0.1 1.3 0 -0.5 0.9 1.3 0.6 -0.3 0.2 4.5
2018 0.7 -1 2.1 0.6 0.7 2.2 -0.3 0.3 0.6 3.8 -0.1 0 9.8
2019 0.4 0.3 1.4 0 0.1 1.5 -1.2 0.7 0.1 1.6 -1.8 -0.3 2.8
2020 -1.6 -3.3 -3.3 -2.1 2.1 1 -0.1 1.2 0.3 -1.2 2.1 0.2 -4.6
2021 2.9 1.7 0.8 NA NA NA NA NA NA NA NA NA 5.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.31 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.38 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9.69 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.38 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.38 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.12 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart